An empirical study of the credit market with unobserved consumer typers
By: Li Gan, Roberto Mosquera.
Contributors: Mosquera, Roberto, 1958-; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 13873; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13873.
Publisher: National Bureau of Economic Research
Published: 2008
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "This paper proposes an econometric model to identify unobserved consumer types in the credit market.  Consumers choose different amounts of loan because of differences in their time or risk preferences (types).  Thus, the unconditional probability of default is modeled using a mixture density combining a type-conditioning default variable with a type-determining random variable.  The model is estimated using individual-level consumer credit card information.  The parameter estimates and statistical tests support this kind of specification.  Furthermore, the model produces better out-of-sample predictions on the probability of default than traditional models; hence, it provides evidence of the existence of types in the consumer credit market"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/16/2008.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.